Description
This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular currency and index funds for a diversified performance.
This strategy uses the following risk-on assets: FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ. with UBT being the risk off haven.
It will buy only one risk on asset at a time.
Trading happens on the Close of the signal day
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 46.00 |
| NoOfWins | 34.00 |
| NoOfLosses | 12.00 |
| SharpRatio | 1.08 |
| SortinoRatio | 1.32 |
| GrossProfit | $106466.09 |
| FirstDate | 2010-01-29 |
| LastDate | 2021-08-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $116466.09 |
| OpenEquity | $99546.90 |
| LongEquity | $106466.09 |
| ShortEquity | $0.00 |
| PercentWins | 73.91% |
| AveWin | $3288.45 |
| AveLoss | $-445.09 |
| AveWinLoss | 7.39 |
| Expectancy | 7.34% |
| AveDrawUp | 43.94% |
| AveDrawDown | -10.83% |
| MaxDrawDown | -24.99% |
| Kelly | 70.38% |
| Thrope | 86.53 |
| APR | 23.60% |
| CalmarRatio | 2.18 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 2010-01-29 | 2010-02-26 | $85.70 | $88.37 | Long | 99.0 | 3.12% | 1496.61 | 10264.66 |
| QQQ | 2010-02-26 | 2010-06-30 | $40.04 | $38.32 | Long | 219.0 | -4.30% | 1434.98 | 9888.07 |
| UBT | 2010-06-30 | 2010-07-30 | $20.47 | $20.08 | Long | 413.0 | -1.88% | 1478.29 | 9729.49 |
| FXY | 2010-07-30 | 2010-08-31 | $114.60 | $117.83 | Long | 72.0 | 2.82% | 1457.87 | 9962.05 |
| UBT | 2010-08-31 | 2010-09-30 | $23.56 | $22.31 | Long | 361.0 | -5.28% | 1458.10 | 9512.75 |
| FXA | 2010-09-30 | 2010-10-29 | $82.19 | $83.53 | Long | 98.0 | 1.64% | 1408.54 | 9644.51 |
| FXY | 2010-10-29 | 2010-11-30 | $122.93 | $118.16 | Long | 67.0 | -3.88% | 1363.05 | 9325.26 |
| QQQ | 2010-11-30 | 2011-03-31 | $46.84 | $51.82 | Long | 170.0 | 10.64% | 1503.84 | 10172.20 |
| SPY | 2011-03-31 | 2011-04-29 | $108.35 | $111.49 | Long | 80.0 | 2.90% | 1559.68 | 10423.25 |
| FXA | 2011-04-29 | 2011-05-31 | $95.31 | $93.12 | Long | 93.0 | -2.29% | 1513.90 | 10219.90 |
| FXF | 2011-05-31 | 2011-07-29 | $116.08 | $125.79 | Long | 75.0 | 8.36% | 1604.03 | 10948.15 |
| UBT | 2011-07-29 | 2012-01-31 | $20.27 | $30.96 | Long | 461.0 | 52.75% | 2347.60 | 15877.51 |
| QQQ | 2012-01-31 | 2012-09-28 | $55.00 | $62.73 | Long | 246.0 | 14.06% | 2606.80 | 17779.44 |
| SPY | 2012-09-28 | 2013-07-31 | $121.38 | $144.65 | Long | 125.0 | 19.17% | 3025.46 | 20688.57 |
| QQQ | 2013-07-31 | 2014-03-31 | $70.09 | $82.13 | Long | 252.0 | 17.17% | 3544.15 | 23721.34 |
| SPY | 2014-03-31 | 2014-05-30 | $162.72 | $167.65 | Long | 124.0 | 3.03% | 3533.32 | 24333.10 |
| UBT | 2014-05-30 | 2014-06-30 | $29.88 | $29.71 | Long | 696.0 | -0.57% | 3574.15 | 24214.86 |
| QQQ | 2014-06-30 | 2014-07-31 | $88.21 | $89.25 | Long | 234.0 | 1.18% | 3564.55 | 24458.83 |
| UBT | 2014-07-31 | 2014-08-29 | $30.15 | $32.78 | Long | 693.0 | 8.72% | 3880.27 | 26279.78 |
| QQQ | 2014-08-29 | 2014-09-30 | $93.72 | $93.01 | Long | 239.0 | -0.76% | 3802.14 | 26110.28 |
| UBT | 2014-09-30 | 2014-10-31 | $31.51 | $33.32 | Long | 708.0 | 5.76% | 4004.68 | 27394.82 |
| QQQ | 2014-10-31 | 2015-06-30 | $95.47 | $101.65 | Long | 245.0 | 6.47% | 4286.50 | 28908.43 |
| FXF | 2015-06-30 | 2015-07-31 | $103.89 | $100.46 | Long | 237.0 | -3.30% | 4076.09 | 28095.50 |
| UBT | 2015-07-31 | 2016-03-31 | $35.74 | $41.26 | Long | 672.0 | 15.44% | 4629.73 | 31802.91 |
| FXA | 2016-03-31 | 2016-04-29 | $74.45 | $73.89 | Long | 365.0 | -0.75% | 4591.59 | 31597.80 |
| FXY | 2016-04-29 | 2016-06-30 | $90.93 | $93.58 | Long | 297.0 | 2.91% | 4726.61 | 32384.85 |
| UBT | 2016-06-30 | 2016-07-29 | $46.56 | $48.58 | Long | 594.0 | 4.34% | 4888.78 | 33585.91 |
| FXY | 2016-07-29 | 2016-08-31 | $94.71 | $93.35 | Long | 303.0 | -1.44% | 4890.75 | 33173.83 |
| QQQ | 2016-08-31 | 2016-11-30 | $111.79 | $113.09 | Long | 253.0 | 1.16% | 5053.24 | 33502.81 |
| SPY | 2016-11-30 | 2016-12-30 | $201.77 | $205.86 | Long | 141.0 | 2.03% | 5029.17 | 34079.86 |
| QQQ | 2016-12-30 | 2017-08-31 | $114.37 | $141.81 | Long | 254.0 | 23.99% | 5977.87 | 41049.54 |
| UBT | 2017-08-31 | 2017-09-29 | $40.64 | $38.69 | Long | 863.0 | -4.79% | 5715.96 | 39367.86 |
| QQQ | 2017-09-29 | 2017-11-30 | $141.39 | $150.82 | Long | 238.0 | 6.67% | 6213.39 | 41612.10 |
| SPY | 2017-11-30 | 2017-12-29 | $247.54 | $250.54 | Long | 143.0 | 1.21% | 6231.41 | 42039.95 |
| QQQ | 2017-12-29 | 2018-04-30 | $151.73 | $157.04 | Long | 236.0 | 3.50% | 6283.16 | 43292.04 |
| CYB | 2018-04-30 | 2018-05-31 | $26.30 | $25.99 | Long | 1407.0 | -1.17% | 6349.67 | 42857.60 |
| QQQ | 2018-05-31 | 2018-10-31 | $165.95 | $166.35 | Long | 220.0 | 0.25% | 6256.80 | 42947.60 |
| UBT | 2018-10-31 | 2019-06-28 | $32.61 | $45.17 | Long | 1125.0 | 38.51% | 8447.50 | 57077.45 |
| QQQ | 2019-06-28 | 2019-07-31 | $184.20 | $188.51 | Long | 264.0 | 2.33% | 8463.30 | 58212.86 |
| UBT | 2019-07-31 | 2019-11-29 | $45.27 | $50.39 | Long | 1099.0 | 11.32% | 9310.14 | 63842.63 |
| QQQ | 2019-11-29 | 2020-01-31 | $202.72 | $217.00 | Long | 269.0 | 7.04% | 9853.11 | 67682.86 |
| UBT | 2020-01-31 | 2020-06-30 | $54.45 | $66.78 | Long | 1062.0 | 22.63% | 11831.12 | 80768.16 |
| QQQ | 2020-06-30 | 2021-02-26 | $246.20 | $313.39 | Long | 280.0 | 27.29% | 14561.16 | 99580.38 |
| SPY | 2021-02-26 | 2021-06-30 | $377.86 | $428.06 | Long | 225.0 | 13.28% | 16241.85 | 110874.66 |
| QQQ | 2021-06-30 | 2021-07-30 | $354.43 | $364.57 | Long | 267.0 | 2.86% | 16671.33 | 113582.04 |
| SPY | 2021-07-30 | 2021-08-31 | $438.51 | $451.56 | Long | 221.0 | 2.98% | 16919.19 | 116466.09 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| FX | 0.90 | 0.85 | QQQ | 2021-08-31 | Hold | Long | -0.43% | EOM |